This study investigates the long-run relationships and short-run dynamic linkages between the stock exchanges of Baltic countries and Swedish financial sector over the sample period 2000-2011. Johansen method of multivariate cointegration is utilized to determine long-run relationship, while...

Stock exchange industry consolidation is at work since many years and has recently accelerated through competition for order flows, agreements and mergers. However, consolidation may not mean that all shocks are transmitted to every place. Therefore, following Forbes and Rigobon (2002) we...

I examine the causal linkages between the returns on emerging market ADRs, their underlying stocks, and changes in the relevant exchange rate. Using a linear VAR model with a cointegration constraint and a nonlinear causality test on daily data, I provide evidence of significant linear and...

This paper investigates whether gold and silver can be considered safe havens by examining their long-run linkages with 22 stock price indices. More specifically, the stochastic properties of the differential between gold/silver prices and 22 stock indices are analysed applying fractional...

This paper focuses on testing possible linkages among international gold and ASEAN emerging markets based on daily data from July 28, 2000 to March 31, 2009. The Granger causality test and the Johansen cointegration technique were applied to examine possible short-run associations and the...

This paper investigates whether gold and silver can be considered safe havens by examining their long-run linkages with 22 stock price indices. More specifically, the stochastic properties of the differential between gold/silver prices and 22 stock indices are analysed applying fractional...

This study examines the stock market integration among major stock markets of emerging Asia-Pacific economies, viz. India, Malaysia, Hong Kong, Singapore, South Korea, Taiwan, Japan, China and Indonesia. Johansen and Juselius (1990) multivariate cointegration test, Granger causality/Block...

Understanding market integration in developing countries is an important issue in current research. This study is an attempt to analyze wheat market integration in Pakistan. Previous research on the subject has attempted at analyzing market integration in Pakistan’s south and north Punjab...

This study explores the link between proximity and price cointegration between two markets, where proximity is captured with variables for geographical, political and cultural distance. Linear and threshold cointegration is tested for a set of 756 rice market pairs in 6 West African countries,...

This study aims to improve our understanding of the extent and speed of the transmission of international cereal prices to local markets in developing countries. We analyse two samples of price transmission (PT) estimates, one extracted from a comprehensive literature sample of 31 published...